本研究主要在探討半導體產業公司在產業景氣下的企業資本支出對股價報酬的影響，短期利用事件研究法，觀察不同景氣下資本支出宣告對股票報酬的影響；長期則利用Panel data迴歸分析，去檢視資本支出與景氣好壞對股價報酬的影響。結果顯示，大企業在景氣好時，短期股價報酬受資本支出宣告效果有顯著影響；景氣差時，則資本支出宣告效果無顯著影響。長期而言，大公司資本支出才是影響企業價值成長最重要的因素；而小企業，不管景氣好壞與資本支出均對股價報酬無顯著影響。故投資人在選擇長期投資標的時應選擇技術領先之龍頭公司，避免投資二、三線技術落後的公司。

This study, referencing on semiconductor manufactures, aims at exploring how capital expenditures under different business cycles affect the long term equity returns. Case study is exploited to explore how the capital expenditure announcement affects equity return under business cycle in the short run, while Panel data regression analysis is utilized in the long run. The result indicates that in the short run, capital expenditure announcement may significantly affect big enterprises' equity prices in boom, but has no significant effect on equity prices in recession. In the long run, capital expenditure is the most vital factor that determines one enterprise value. However, small enterprises' stock prices are both affected by the factors of business cycles and capital expenditure in the short run. This concludes that investors should choose blue chips instead of penny stocks when pondering over long term target investment mix.